November, 2006 : The Month in Review

Index November
Ratchet +0.11%
FixedFloater +0.30%
Floater +1.56%
OpRet +1.13%
SplitShare +1.70%
InterestBearing -0.29%
PerpetualPremium +1.02%
PerpetualDiscount +1.33%

The worst index-included issue for the month was MST.PR.A, an income-trust-backed interest-bearing issue that lost 1.52% on the month and now has a pre-tax YTW of 5.56% based on a bid of $10.34 and a maturity 2009-9-30.

There were a number of index-included issues with superb monthly performance, led by ACO.PR.A +3.75% (I don’t understand it – see November 29 – it’s trading a lot, but the yield is very low), closely followed by FFN.PR.A +3.49% (which is simply ridiculous.

The pre-rebalancing preliminary indices can be downloaded here. Note that everything in this is subject to change as my final indices get caught up.

Update & bump, 2006-12-01 : The indices have now been rebalanced. Changes are

Ticker From Index To Index Reason
BC.PR.E Ratchet Scraps Volume
CGI.PR.C SplitShares Scraps Volume
BAM.PR.I OpRet Scraps Volume
MFC.PR.C PerpetualDiscount PerpetualPremium Price
CM.PR.I PerpetualDiscount PerpetualPremium Price
WN.PR.E PerpetualDiscount PerpetualPremium Price
BAM.PR.M PerpetualDiscount New Issue, 11/20
CM.PR.I PerpetualDiscount New Issue, 11/15
RY.PR.C PerpetualPremium New Issue, 11/1


The revised indices can be downloaded here.

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